Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0068
Annualized Std Dev 0.0545
Annualized Sharpe (Rf=0%) 0.1241

Row

Daily Return Statistics

Close
Observations 3234.0000
NAs 1.0000
Minimum -0.0389
Quartile 1 -0.0012
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0015
Maximum 0.0237
SE Mean 0.0001
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0002
Variance 0.0000
Stdev 0.0034
Skewness -1.0729
Kurtosis 12.6387

Downside Risk

Close
Semi Deviation 0.0026
Gain Deviation 0.0024
Loss Deviation 0.0030
Downside Deviation (MAR=210%) 0.0090
Downside Deviation (Rf=0%) 0.0025
Downside Deviation (0%) 0.0025
Maximum Drawdown 0.1243
Historical VaR (95%) -0.0051
Historical ES (95%) -0.0086
Modified VaR (95%) -0.0057
Modified ES (95%) -0.0146
From Trough To Depth Length To Trough Recovery
2013-12-12 2016-12-28 2018-01-17 -0.1243 1031 767 264
2018-04-18 2020-03-19 2021-01-05 -0.1178 685 484 201
2008-07-21 2008-12-03 2010-10-14 -0.0456 565 96 469
2011-08-17 2012-05-31 2012-12-05 -0.0279 328 199 129
2010-10-18 2010-12-22 2011-08-12 -0.0263 208 47 161

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA NA NA -0.1 0.1 0.2 -0.2 0 0.2 -1.7 0.7 -0.9
2009 0.1 -0.5 -0.2 -0.3 -0.1 0 0 0 -0.1 -0.1 -0.1 -0.1 -1.4
2010 0 0 0 -0.1 -0.1 0 0 0.3 0.3 0 0.5 0 1
2011 0.3 0.1 0.1 0.2 0 0.2 -0.1 0 -0.4 -0.1 0 0.2 0.6
2012 0.1 0.1 0 0.1 0 0.2 0 0.1 0 0.2 0.2 0 1
2013 -0.1 0.1 0.1 0 -0.2 0.1 0 -0.3 0 0 0 0 -0.1
2014 0 -0.1 0.2 0 0 0.1 0.1 0 0.2 -0.2 0.1 -0.1 0.3
2015 -0.2 -0.4 0.1 -0.1 0 -0.4 0 0.7 0.1 0.5 -0.1 -0.2 -0.1
2016 0.1 0.1 0.5 0 0.1 0.3 0 -0.4 0 0 -0.3 -0.4 0.1
2017 -0.3 -0.3 0.1 -0.6 -0.2 0.2 -0.6 0.7 0.4 0.4 -0.6 0.7 -0.1
2018 0.1 -0.9 -0.3 -0.2 0.2 -0.4 -0.7 0.6 -0.4 1 -0.2 -0.6 -1.8
2019 -1.4 -0.1 0.2 0.3 -0.2 0.9 -1.2 0.5 0.2 0.1 0 0.2 -0.3
2020 -0.4 -0.1 -0.2 -0.6 0.2 0.6 0.8 0.5 0.4 0.6 -0.2 0.3 1.7
2021 -0.4 -0.4 -0.1 NA NA NA NA NA NA NA NA NA -0.8

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart